Lecture Series: Dependence Modelling by Lévy Processes with Applications to Mathematical Finance, Insurance and Econometrics (2009)
Stochastic Models driven by a general Lévy process play an increasingly important role in many applications areas, prominant also in mathematics and statistics for finance and insurance. In contrast to the classical Brownian motion driven models they allow for jumps.
In this course we will present the most important dynamic models for insurance and finance. Besides providing the necessary mathematical background we will also focus in particular modelling issues and the interpretation of different features of the models under consideration.
